| 集装箱运费与衍生品的动态相关性和风险溢出效应 |
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| 引用本文： | 高涛,陈金海,曲林迟.集装箱运费与衍生品的动态相关性和风险溢出效应[J].上海海事大学学报,2015,36(4):37-42. |
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| 作者姓名： | 高涛 陈金海 曲林迟 |
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| 作者单位： | 上海海事大学 经济管理学院,上海海事大学 经济管理学院,上海海事大学 经济管理学院 |
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| 基金项目： | 教育部高等学校博士学科点专项科研基金（20113121110003） |
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| 摘 要： | 针对集装箱运费与其衍生品价格偏离和对衍生品将加剧运价波动的担忧等问题,建立DCCMSV模型研究集装箱运费与其衍生品收益率动态相关性和风险溢出效应.实证分析发现:集装箱运费与其衍生品收益率存在稳定的正相关关系,总体相关性不高;收益率存在双向引导关系,现货对衍生品的引导较为明显;波动性存在正的双向溢出效应,现货对衍生品的溢出效应比较明显.这种波动溢出效应证伪了"衍生品加剧运价波动"的说法,说明衍生品市场能更快地对信息作出反应,具备更加高效的价格发现功能.
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| 关 键 词： | 集装箱运费衍生品 DCC MSV 动态相关 波动溢出效应 |
| 收稿时间： | 2015/4/16 0:00:00 |
| 修稿时间： | 2015/6/13 0:00:00 |
Dynamic correlation and risk spillover effect between container shipping freight and its derivatives |
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| GAO TAO,CHEN JINHAI and QU LINCHI.Dynamic correlation and risk spillover effect between container shipping freight and its derivatives[J].Journal of Shanghai Maritime University,2015,36(4):37-42. |
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| Authors: | GAO TAO CHEN JINHAI and QU LINCHI |
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| Institution: | Shanghai Maritime University, School of Economics & Management,Shanghai Maritime University, School of Economics & Management and Shanghai Maritime University, School of Economics & Management |
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| Abstract: | With respect to the deviation between container shipping freight and its derivative price and the worry about derivatives aggravating the volatility of freight, the DCC MSV model is established to study the dynamic correlation and the risk spillover effect between container shipping freight and its derivative yield. Empirical results suggest that there exists a stable positive correlation between them, and the correlation is not strong. A bi directional lead relationship and a positive bi directional spillover effect exist in yield and volatility respectively, and the effect of freight on its derivatives is obvious. The volatility spillover effect shows that the notion of derivatives aggravating the volatility of freight is false, and meanwhile shows that the derivative market is of quicker response on information and more efficient price discovering function. |
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| Keywords: | container shipping freight derivative DCC MSV dynamic correlation volatility spillover effect |
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